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Background: Obesity is a serious public health concern, challenging health professionals worldwide. Women with obesity have an increased risk of triggering psychological disorders, due to the weight stigma. Stigmatization of weight-related health correlates with behavior and contributes to a vicious cycle of obesogenic processes. Objective: Our objective is to analyze the association between the presence of mental suffering, risk of mental disorders, and eating behaviors in lean, overweight, and obese women. Methods: A total of 169 adult women aged between 20 and 39 years were included, and participants signed the informed consent, answered a questionnaire on eating habits, the Self Report Questionnaire (SRQ-20), the Scale of Depression, Anxiety and Stress (DASS-21), and the Three-Factor Eating Questionnaire—R21 (TFEQ-R21). Results: The presence of mental suffering was higher in the lean group (26.9%) compared to the overweight and obese group (57.8%). The overweight and obese group had significantly higher scores for the SRQ, DASS, and TFEQ-R21 (p = 0.001 for all analyses), except when evaluating cognitive restraint. Several correlations among scores were found and summarized. There was no significant effect of body mass index on emotional eating, albeit body mass index exerts effects on the DASS score and on binge eating behavior, both of which present mediation effects on emotional eating. Conclusions: These results support the connection between mental health status and the presence of overweight and obesity and emphasize that mental health risks also need specific targeting in public policy.